@splificator has already pretty much nailed down the creation of the Rob Roy in New York in the 1890s in relation to the Broadway production of the same name (see Imbibe 2nd Edition), but one of the earliest appearances in a book must be the 1900 edition of The Cocktail Book: A Sideboard for Gentlemen (discussed here) out of London.
I’ll take my olive on the side, please.